相关论文: On the origin of the Epps effect

Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much larger than for ordinary elliptical…

We investigate the correlation functions of the one-dimensional Asymmetric Simple Exclusion Process (ASEP) with open boundaries. The conditions for the boundaries are made most general. The correlation function is expressed in a multifold…

What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring…

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations…

We select the $n$ stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the $k$ trading days of our database from the stock price time series. We study the ensemble return…

We present an exact relationship between the entropy production and the distinguishability of a process from its time-reverse, quantified by the relative entropy between forward and backward states. The relationship is shown to remain valid…

Cortical network functioning critically depends on finely tuned interactions to afford neuronal activity propagation over long distances while avoiding runaway excitation. This importance is highlighted by the pathological consequences and…

To date, it is still impossible to sample the entire mammalian brain with single-neuron precision. This forces one to either use spikes (focusing on few neurons) or to use coarse-sampled activity (averaging over many neurons, e.g. LFP).…

Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…

Spurious correlations occur when a model learns unreliable features from the data and are a well-known drawback of data-driven learning. Although there are several algorithms proposed to mitigate it, we are yet to jointly derive the…

Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF}, we have proposed to describe this…

A short resume is given about the nature of exceptional points (EPs) followed by discussions about their ubiquitous occurrence in a great variety of physical problems. EPs feature in classical as well as in quantum mechanical problems. They…

We present a theory for the memory effect in electron glasses. In fast gate voltage sweeps it is manifested as a dip in the conductivity around the equilibration gate voltage. We show that this feature, also known as anomalous field effect,…

The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposition to intraday time series of the following three…

The concept of entropy is not uniquely relevant to the statistical mechanics but among others it can play pivotal role in the analysis of a time series, particularly the stock market data. In this area sudden events are especially…

In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time…

In our empirical study, we examine the price of liquid stocks after experiencing a large intraday price change using data from the NYSE and the NASDAQ. We find significant reversal for both intraday price decreases and increases. The…

A classic problem in physics is the origin of fat tailed distributions generated by complex systems. We study the distributions of stock returns measured over different time lags $\tau.$ We find that destroying all correlations without…

The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…

We investigate theoretically the slow non-exponential relaxation dynamics of the electron glass out of equilibrium, where a sudden change in carrier density reveals interesting memory effects. The self-consistent model of the dynamics of…